Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0202
Annualized Std Dev 0.2258
Annualized Sharpe (Rf=0%) 0.0893

Row

Daily Return Statistics

Close
Observations 3711.0000
NAs 1.0000
Minimum -0.1169
Quartile 1 -0.0054
Median 0.0008
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0067
Maximum 0.1484
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0142
Skewness -0.4330
Kurtosis 12.1905

Downside Risk

Close
Semi Deviation 0.0106
Gain Deviation 0.0097
Loss Deviation 0.0119
Downside Deviation (MAR=210%) 0.0150
Downside Deviation (Rf=0%) 0.0105
Downside Deviation (0%) 0.0105
Maximum Drawdown 0.6474
Historical VaR (95%) -0.0211
Historical ES (95%) -0.0363
Modified VaR (95%) -0.0214
Modified ES (95%) -0.0382
From Trough To Depth Length To Trough Recovery
2007-11-01 2009-03-09 NA -0.6474 3368 339 NA
2007-07-13 2007-08-16 2007-10-29 -0.1420 76 25 51
2007-02-27 2007-03-05 2007-03-21 -0.0846 17 5 12
2006-07-05 2006-07-18 2006-07-28 -0.0535 18 10 8
2007-06-05 2007-06-12 2007-07-09 -0.0446 24 6 18

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA 1.6 -0.4 0.9 -0.4 -0.2 0.1 -0.2 1.5
2007 0.8 -1.6 0.3 0.3 0.7 0.5 0 2.2 1.4 -2.5 0.5 -0.8 1.8
2008 2.1 -2.4 2.5 0.7 0.8 -1.9 -0.6 -0.4 -0.6 -0.2 -7.5 1.4 -6.4
2009 -1.2 -0.1 2.2 0.2 3 0.2 1.8 -3 -2.7 -2.9 2.8 0.3 0.3
2010 1.6 0.6 1.9 -0.8 -0.7 1.5 -0.3 3.1 0.6 -0.3 2.7 0.7 11.1
2011 2.2 -1.1 0.5 -0.2 -1.8 0.7 -0.7 -1.2 -2.9 -3.1 -0.8 0.4 -7.8
2012 1.8 0.8 0.8 0.3 -2.5 4.1 -0.2 0.6 1.1 1.4 0.5 1.4 10.5
2013 1.1 -0.5 -0.7 -0.4 -2.5 0.5 0.7 -1.1 0.4 -0.8 0.4 0.4 -2.6
2014 -1.3 0.6 0.8 0.1 0.1 0.7 -0.3 -0.2 -1.3 0.9 0.2 -0.6 -0.4
2015 -1 -0.2 0.1 0.3 -0.4 0.3 0.8 -2.7 0.1 0.5 1 -0.8 -1.9
2016 -0.1 2.2 -1.3 -0.2 0.1 0.6 -0.7 0.8 0.6 -0.1 -0.1 -0.1 1.6
2017 0.5 0.9 0.1 0.3 0.7 0.5 0.7 0.2 0.8 0.2 -0.1 0.2 5.2
2018 0.5 -1.8 0.9 -0.2 0.8 0.5 -0.3 -0.6 0 1.5 -0.9 0.2 0.5
2019 -0.2 0.7 1.3 -0.6 -0.7 0.7 -0.5 0.4 -0.4 1 -0.9 0.4 1.2
2020 -1.6 -0.3 -4.7 -2.3 2.2 0.1 -1.9 -0.4 0.5 -0.6 2 -0.6 -7.6
2021 1.4 1.7 0.9 NA NA NA NA NA NA NA NA NA 4.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-06-16  50.4 SPY    125. -0.0073 -0.00120  -0.013   -0.0415   0.0313    0.232  -0.0071 GLD    57.7  0.0063  -0.0458
2 2006-06-19  50.4 SPY    124. -0.0079 -0.0026   -0.0201  -0.0517   0.019     0.218  -0.0176 GLD    56.4 -0.0229  -0.0611
3 2006-06-20  50.3 SPY    124.  0.0034  0.0126   -0.0237  -0.0424   0.0222    0.241  -0.0057 GLD    57.3  0.0167   0.0247
4 2006-06-21  50.8 SPY    125.  0.0074  0.0122   -0.0089  -0.0412   0.0291    0.257   0.0247 GLD    58.3  0.018    0.0487
5 2006-06-22  50.6 SPY    124. -0.0044 -0.0132   -0.0057  -0.0434   0.0238    0.265   0.0214 GLD    57.7 -0.0103   0.0072
6 2006-06-26  50.6 SPY    125.  0.0044  0.0107   -0.0215  -0.0387   0.0505    0.282   0.0263 GLD    58.3  0.005    0.0341
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart